Strategy - FX


Description

This extends the work of swhanly with a variation of accelerating dual momentum. However, here the use of regular currency and index funds for a diversified performance.

This strategy uses the following risk-on assets: FXA, FXB, FXC, FXE, FXF, FXY, CYB, SPY, QQQ. with UBT being the risk off haven.

It will buy only one risk on asset at a time.

Trading happens on the Close of the signal day

Details

Metrics

Metric Measure
AccountName default
NoOfTrades 60.00
NoOfWins 38.00
NoOfLosses 22.00
SharpRatio 0.93
SortinoRatio 1.17
GrossProfit $59983.48
FirstDate 2010-01-28
LastDate 2022-12-07
FirstEquity $10000.00
FinalEquity $69983.48
OpenEquity $53517.98
LongEquity $59983.48
ShortEquity $0.00
PercentWins 63.33%
AveWin 9.27%
AveLoss -3.38%
AveWinLoss 2.74
Expectancy 4.63%
AveDrawUp 36.25%
AveDrawDown -9.50%
MaxDrawDown -20.44%
Kelly 49.97%
Thorpe 91.14
APR 16.34%
CalmarRatio 1.72

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
QQQ 2010-01-28 2010-01-29 $38.58 $37.90 Long 198.0 -1.75% 2328.54 9866.70
SPY 2010-01-29 2010-02-26 $83.76 $86.37 Long 90.0 3.12% 2410.07 10101.86
QQQ 2010-02-26 2010-06-30 $39.65 $37.95 Long 194.0 -4.30% 2300.86 9771.49
UBT 2010-06-30 2010-07-30 $20.41 $20.03 Long 366.0 -1.88% 2296.95 9631.35
FXY 2010-07-30 2010-08-31 $114.60 $117.83 Long 64.0 2.82% 2320.35 9838.07
UBT 2010-08-31 2010-09-10 $23.49 $20.96 Long 320.0 -10.76% 9028.94 9028.94
UBT 2010-09-29 2010-09-30 $22.29 $22.25 Long 309.0 -0.17% 2119.38 9017.04
FXA 2010-09-30 2010-10-29 $82.12 $83.46 Long 84.0 1.64% 2246.07 9129.87
FXY 2010-10-29 2010-11-30 $122.93 $118.16 Long 56.0 -3.88% 2091.24 8863.03
QQQ 2010-11-30 2011-03-31 $46.38 $51.32 Long 146.0 10.64% 2276.26 9583.36
SPY 2011-03-31 2011-04-29 $105.90 $108.97 Long 69.0 2.90% 2367.83 9794.98
FXA 2011-04-29 2011-05-31 $95.22 $93.04 Long 78.0 -2.29% 2311.55 9624.59
FXF 2011-05-31 2011-07-29 $116.08 $125.79 Long 63.0 8.36% 2413.57 10236.32
UBT 2011-07-29 2011-10-14 $20.21 $27.39 Long 387.0 35.49% 13012.84 13012.84
UBT 2011-10-28 2012-01-31 $26.11 $30.88 Long 381.0 18.25% 3499.22 14828.18
QQQ 2012-01-31 2012-09-28 $54.47 $62.12 Long 208.0 14.06% 3964.41 16420.72
SPY 2012-09-28 2013-07-31 $118.63 $141.38 Long 105.0 19.17% 4440.78 18809.02
QQQ 2013-07-31 2014-03-31 $69.41 $81.33 Long 207.0 17.17% 5054.69 21276.07
SPY 2014-03-31 2014-05-30 $159.03 $163.85 Long 102.0 3.03% 5137.80 21767.89
UBT 2014-05-30 2014-06-30 $29.80 $29.63 Long 558.0 -0.57% 5163.72 21673.35
QQQ 2014-06-30 2014-07-31 $87.35 $88.39 Long 189.0 1.18% 5150.67 21868.49
UBT 2014-07-31 2014-08-29 $30.07 $32.69 Long 556.0 8.72% 5505.43 23325.46
QQQ 2014-08-29 2014-09-30 $92.81 $92.11 Long 192.0 -0.76% 5468.32 23190.61
UBT 2014-09-30 2014-10-31 $31.42 $33.23 Long 564.0 5.76% 5775.04 24211.09
QQQ 2014-10-31 2015-06-30 $94.54 $100.66 Long 195.0 6.47% 5976.69 25404.12
FXF 2015-06-30 2015-07-31 $103.89 $100.46 Long 187.0 -3.30% 5825.04 24762.69
TBF 2015-07-31 2015-11-30 $24.25 $24.01 Long 781.0 -1.00% 5777.93 24573.39
UBT 2015-11-30 2016-03-31 $35.26 $41.15 Long 533.0 16.69% 6585.85 27709.45
FXA 2016-03-31 2016-04-29 $74.38 $73.82 Long 284.0 -0.75% 6545.17 27550.00
FXY 2016-04-29 2016-06-30 $90.93 $93.58 Long 231.0 2.91% 6662.58 28162.15
UBT 2016-06-30 2016-07-29 $46.44 $48.45 Long 463.0 4.34% 6838.92 29095.77
FXY 2016-07-29 2016-08-31 $94.71 $93.35 Long 235.0 -1.44% 6856.29 28776.17
QQQ 2016-08-31 2016-11-30 $110.71 $111.99 Long 198.0 1.16% 6944.83 29031.14
SPY 2016-11-30 2016-12-30 $197.20 $201.20 Long 112.0 2.03% 6939.71 29479.12
QQQ 2016-12-30 2017-08-31 $113.26 $140.44 Long 199.0 23.99% 8219.27 34886.76
UBT 2017-08-31 2017-09-29 $40.53 $38.58 Long 658.0 -4.79% 7983.75 33608.07
QQQ 2017-09-29 2017-11-30 $140.02 $149.36 Long 183.0 6.67% 8462.08 35316.94
SPY 2017-11-30 2017-12-29 $241.94 $244.86 Long 111.0 1.21% 8444.41 35641.53
QQQ 2017-12-29 2018-04-30 $150.26 $155.51 Long 181.0 3.50% 8608.71 36592.51
CYB 2018-04-30 2018-05-31 $24.48 $24.20 Long 1143.0 -1.17% 8655.47 36264.02
QQQ 2018-05-31 2018-10-31 $164.34 $164.74 Long 168.0 0.25% 8549.32 36332.07
TBF 2018-10-31 2018-12-31 $23.50 $21.89 Long 1182.0 -6.86% 8108.47 34427.56
UBT 2018-12-31 2019-06-28 $37.65 $45.05 Long 699.0 19.65% 9317.16 39598.67
QQQ 2019-06-28 2019-07-31 $182.42 $186.68 Long 166.0 2.33% 9472.18 40305.69
UBT 2019-07-31 2019-11-07 $45.14 $46.98 Long 683.0 4.07% 41559.67 41559.67
UBT 2019-11-27 2019-11-29 $50.50 $50.25 Long 629.0 -0.49% 9884.97 41403.96
QQQ 2019-11-29 2020-01-31 $200.76 $214.90 Long 157.0 7.04% 10280.47 43623.56
UBT 2020-01-31 2020-03-10 $54.30 $65.24 Long 614.0 20.14% 50339.83 50339.83
UBT 2020-03-30 2020-06-04 $68.87 $61.53 Long 559.0 -10.66% 46234.05 46234.05
UBT 2020-06-29 2020-06-30 $67.13 $66.59 Long 526.0 -0.79% 10843.74 45953.41
QQQ 2020-06-30 2021-02-26 $243.82 $310.35 Long 144.0 27.29% 13064.61 55534.49
SPY 2021-02-26 2021-06-30 $369.30 $418.36 Long 115.0 13.28% 14494.10 61176.35
QQQ 2021-06-30 2021-07-30 $350.99 $361.04 Long 133.0 2.86% 14939.94 62511.90
SPY 2021-07-30 2021-08-31 $428.58 $441.33 Long 111.0 2.98% 15389.19 63927.63
QQQ 2021-08-31 2021-09-30 $376.27 $354.89 Long 129.0 -5.68% 14401.38 61170.18
UBT 2021-09-30 2021-10-29 $51.91 $54.24 Long 901.0 4.50% 15039.94 63272.75
QQQ 2021-10-29 2021-11-30 $382.80 $390.44 Long 126.0 2.00% 15141.22 64235.88
UBT 2021-11-30 2022-01-04 $57.15 $51.31 Long 859.0 -10.23% 59214.37 59214.37
UBT 2022-01-28 2022-01-31 $50.86 $50.45 Long 890.0 -0.80% 13830.83 58850.46
TBF 2022-01-31 2022-12-07 $16.56 $20.65 Long 2719.0 24.73% 69983.48 69983.48

Signals

Strategy Ratio Size Ticker Date State Type Profit Tick
FX 0.90 0.76 TBF 2022-12-29 Hold Long 0.00% EOM
momentum  FXA  FXB  FXC  FXE  FXF  FXY  CYB  SPY  QQQ  UBT  TBF